The exchange rate forecasting has been an interesting topic for a long time. Beating the random walk model has been the goal of many researchers, who applied various techniques and used various datasets. We tried to beat it using bayesian model averaging technique, which pools a large amount of models and the final forecast is the average of forecasts of these models. We used quarterly data from 1980 to 2013 and attempted to predict the value of exchange rate return of five currency pairs. The novelty was the fact that none of these currency pairs included U.S. Dollar. The forecasting horizon was one, two, four and eight quarters. In addition to random walk, we also compared our results to historical average return model using several benchmarks, such as root mean squared error, mean absolute error or direction of change statistic. We found out that bayesian model averaging can not generally outperform random walk or historical average return, but in specific setting it can produce forecasts with low error and with high percentage of correctly predicted signs of change.

Cílem práce je popsat a modelovat vstup České republiky do eurozóny a jeho dopad na vývoj exportu a importu. Důraz je kladen hlavně na vztah volatility měnového kurzu a zahraničního obchodu. Práce se také zabývá Roseovým efektem a jeho propojením s Evropskou měnovou unií.

This diploma thesis evaluates out-of-sample predictive ability of exchange rate models. The first part of the thesis summarizes existing empirical findings about exchange rate predictability and describes exchange rate models chosen to be evaluated. The second part of the thesis evaluates predictive ability of purchasing power parity, uncovered interest parity, monetary model and Taylor rule model. The exchange rate models are evaluated on CZK/EUR and CZK/USD currency pairs. The analysis is made using quarterly data from 1999 to 2013, while 2009 to 2013 period is reserved for forecast evaluation. The predictive ability of exchange rate models is evaluated in one quarter, one year and three years horizons. The exchange rate models are specified in first differences and estimated by ordinary least squares method. The forecasts are made using rolling regression. The exchange rate models are evaluated using RMSE, Theil's U, CW test and direction of change criterion. The diploma thesis concludes with description of own empirical findings.

The Master's thesis analyses the macroeconomic aspects of the exchange rate policy of the administration of president Hugo Chávez Frías in Venezuela in 2003 - 2010. The author focuses first on the comparison of different exchange rate regimes and their compatibility with the commodity depended economies. A special attention is paid to the concept of Peg to Export Price regime (PEP), also called oil standard, of Jeffrey Frankel and its suitability for contemporary Venezuela. The goal of the thesis is to stress that even though the election of a correct exchange rate regime is of great importance for an exporting economy, the success can be achieved only when combining it with an appropriate monetary and fiscal policy. Without an adequate economic policy the regime alone can not provide stability and moderate high inflation.

The subject of this thesis is to evaluate the main causes of instability in the foreign exchange market in selected countries. The first part is devoted to a summary of the basic theoretical knowledge about the foreign exchange market, its organization and operations of entities intended to hedge against exchange rate risk. The second part focuses on the exchange rate systems. The third chapter focuses on chosen economies, which are included in the final analysis. The main point of the analytical part is focused on the development of turnover on the foreign exchange market in selected countries in terms of the nature of the operations, currency and traded entities. The comparison of the dynamics and structure of the foreign exchange market turnover in selected countries, the system takes into account the applicable exchange rate. Sweden, Denmark, Hungary and Bulgaria were chosen for the analysis, performed during the period 2002 - 2011

This final work is aimed at the concept of relationship between exchange rate and interest rate differential. The introductory part briefly describes exchange rate as a macro-economical parameter, which can be seen in many different systems of exchange rate. Next part consists of theoretical principles of uncovered interest parity and the dynamics of this process and also the process of international Fisher effect. In the analysis part the relation between interest rate and exchange rate is explored in various conditions of exchange rate arrangements in the countries of Denmark, Norway, Sweden and Slovakia. The uncovered interest parity is valued by graphic analysis made by calculation of the theoretical rate based on uncovered interest parity and the off-set index rate. International Fisher effect is tested on the graph of change in exchange rate depending on the interest rate differential. The graphic analysis is followed by the analysis of linear regression. Afterwards with the use of VAR model we find not only the dependence of exchange rate on interest rate differential but also whether the interest rate differential is dependent on exchange rate or not.

Tato diplomová práce zaměřená na vstup ČR do eurozóny z hlediska strukturální a cyklické sladěnosti ekonomiky eurozóny a ČR se pokouší analyzovat možnosti a omezení přizpůsobovacích mechanismů působících v rámci měnové unie. Část následující po úvodu se věnuje teoretickým východiskům a institucionálnímu rámci přistoupení včetně vyhodnocení konvergenčních kritérií. Další část je zaměřena na vyhodnocení stupně cyklické a strukturální sladěnosti. Diplomová práce vychází z hypotézy, že ztráta kurzové politiky a tedy flexibilního měnového kurzu jako nástroje hospodářské politiky nebude spojena s výraznými negativními dopady po vstupu do eurozóny. Text je vybaven tabulkami a grafy převzatými převážně z webových stránek ČNB.

The political economy of the exchange rate explains different approaches within the integration process of the European monetary union. The changing character of exchange rate pass-through into the foreign trade prices changes not only the international economy paradigm, but also the attitude to the exchange rate political economy. The study solves the incentives to the different exchange rate arrangement choice during the transformation and integration period in the Central and East European countries. It follows with the analysis of the industry structure in these economies. It discusses the existence of its direct and indirect channel of influencing the exchange rate politics. Article solves the hypothesis of interest group formation in regard to the exchange rate policy (the euro adoption) and the intergovernmental bargaining as well as the bargaining within the economy. The industry analysis results confirm the set hypothesis, in which the heterogenity of industry structure explains the heterogeneous approach to the exchange rate politics during the transformation process in monitored economies. The redistributive change of Hungarian exchange rate policy is discussed in connection with the change of subsidies flow within the political cycle. We discuss the impact of current account adjustment on the tradable and nontradable sector in member countries of currency union -- Euro zone. The current account adjustment associated with the adjustment of the net export's deficit caused by the drop in the domestic absorption evokes the increase in the relative price of the nontradable sector. The paper discusses this hypothesis within framework of the Portuguese current account adjustment, which is the result of European financial integration in catching-up countries. The common monetary policy and common currency cannot offset the negative impact of nontradable price increase within the internal expenditure switching effect and also can not support exporters within the external expenditure effect.. The Portuguese current account adjustment was not followed by the currency depreciation and the tradable price increase. The cost of the currency asymmetric response were born by the tradable mark-up decrease, the falling decrease in nontradable wages and employment and finally by the nontradable mark-up and employment decrease.

This diploma paper describes the process of managing of exchange rate risk in an export company. At the beginning of the work there is short overview of the basic concepts of the exchange rate theory. The next part is focused on the determination of the exchange rate and on the basic methods of exchange rate prediction -- fundamental, technical and psychological analyses. These chapters are followed by the next steps in the process of the exchange rate risk managing with a view to the analyses of the firm's exchange exposition (especially to its quantification) and to instruments used to exchange rate hedging (especially to currency derivatives). In the end of the diploma paper there is a brief summary of development of the financial crises 2008/09 with reference to its influence on the exchange rate of the Czech crown to Euro.

The aim of this thesis is to analyze the foreign exchange currency forecasting techniques. Moreover the central idea behind the topic is to develop the strategy of forecasting by choosing indicators and techniques to make own forecast on currency pair EUR/USD. This thesis work is a mixture of theory and practice analyses. The goal during the work on this project was to study different types of forecasting techniques and make own forecast, practice forecasting and trading on Forex platform, based on acquired knowledge.